I thought it was 30%.I'm having trouble understanding this question from the 2020 text.
If volatility A = 20% and volatility B = 40% and a portfolio is formed with half the money invested in each stock, then portfolio volatility must be
B. between 10% and 40%
Can anyone please help?
Agreed. In my excitement to solve the problem quickly I didn’t realize that I should have looked at minimizing the function w1^2*0.04+(1-w1)^2*0.16-2*w1*(1-w1)*0.08But @amit.m.sharma I agree with you that's not what the question had in mind, but if the weights are flexible then I find the MVP to be at weight(A) = 2/3, weight(B) = 1/3, ρ(A,B) = -1.0 with variance and standard deviation equal to zero (not 10%).